Quarterly of Applied Mathematics

Quarterly of Applied Mathematics

Online ISSN 1552-4485; Print ISSN 0033-569X

   
 
 

 

Surrounding the solution of a linear system of equations from all sides


Author: Stefan Steinerberger
Journal: Quart. Appl. Math. 79 (2021), 419-429
MSC (2020): Primary 15A09, 15A18, 60D05, 65F10, 90C06
DOI: https://doi.org/10.1090/qam/1587
Published electronically: March 29, 2021
MathSciNet review: 4288591
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Abstract:

Suppose $A \in \mathbb {R}^{n \times n}$ is invertible and we are looking for the solution of $Ax = b$. Given an initial guess $x_1 \in \mathbb {R}$, we show that by reflecting through hyperplanes generated by the rows of $A$, we can generate an infinite sequence $(x_k)_{k=1}^{\infty }$ such that all elements have the same distance to the solution $x$, i.e. $\|x_k - x\| = \|x_1 - x\|$. If the hyperplanes are chosen at random, averages over the sequence converge and \begin{equation*} \mathbb {E} \left \| x - \frac {1}{m} \sum _{k=1}^{m}{ x_k} \right \| \leq \frac {1 + \|A\|_F \|A^{-1}\|}{\sqrt {m}} \cdot \|x-x_1\|. \end{equation*}

The bound does not depend on the dimension of the matrix. This introduces a purely geometric way of attacking the problem: are there fast ways of estimating the location of the center of a sphere from knowing many points on the sphere? Our convergence rate (coinciding with that of the Random Kaczmarz method) comes from simple averaging, can one do better?


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Additional Information

Stefan Steinerberger
Affiliation: Department of Mathematics, University of Washington, Seattle, Washington 98203
MR Author ID: 869041
ORCID: 0000-0002-7745-4217
Email: steinerb@uw.edu

Keywords: Linear systems, Kaczmarz method, random geometry
Received by editor(s): September 7, 2020
Received by editor(s) in revised form: January 1, 2021
Published electronically: March 29, 2021
Additional Notes: The author was supported by the NSF (DMS-1763179) and the Alfred P. Sloan Foundation.
Article copyright: © Copyright 2021 Brown University